ON STOCHASTIC APPROXIMATION METHOD AND OPTIMAL FILTERING THEORY,
RAND CORP SANTA MONICA CALIF
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This paper establishes some connections among the maximum likelihood estimate, the optimal filtering and the stochastic approximation solutions to the following well-known problem Consider the vector-matrix equations Ax v sub k b sub k 1, 2, ... where A is a given r x n matrix x is an unknown n-vector v sub k is a random r-vector with Ev sub k 0 and Ev sub k v sub j I deltak - j b sub k is a r-vector of observation. It is desired to determine an estimate x for the unknown parameters x which is optimal in some sense.